01Strategies 03Methodology
Sign In Reserve your spot
2014201520162017201820192020202120222023202420252026
Home / Performance / Annual reports / 2021
Unlevered trending · Annual report
2021
Systematic trend exposure across the full 2021 calendar.
Annual return
+25.7%
vs. S&P 500: +28.7%
+25.7%
Annual return
−10.9%
Max drawdown
1.42×
Avg exposure
14.1%
Ann. volatility
9 of 12
Positive months
Monthly returns

9 of 12 months finished positive.

Real monthly returns from the 2021 daily backtest equity curve.

Jan
+9.9%
Feb
-5.4%
Mar
+4.0%
Apr
+1.1%
May
-2.6%
Jun
+2.5%
Jul
+7.8%
Aug
+3.8%
Sep
-3.6%
Oct
+3.9%
Nov
+0.7%
Dec
+1.9%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2021

How the year was built, month by month.

Indexed to 0% at the start of 2021. Real daily equity curve, resampled to monthly.

0% 12% 23% 34% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2021 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2021 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2021 vs. the S&P 500.

Sophus Quant · Unlevered
+25.7%
Fully-invested systematic trend exposure, 1.42× average gross.
Annual return
S&P 500
+28.7%
Buy-and-hold benchmark for the same calendar year.
Annual return
All years · Unlevered trending

Select any year to view its annual report.

2014
+11.5%
2015
+10.3%
2016
+33.4%
2017
+24.7%
2018
−6.4%
2019
+32.4%
2020
+44.7%
2021
+25.7%
2022
+32.5%
2023
+45.9%
2024
+34.9%
2025
+39.9%
2026
+11.9%

Twelve years of annual reports. Every trend documented.

Join the waitlist